Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0080
Annualized Std Dev 0.2346
Annualized Sharpe (Rf=0%) 0.0340

Row

Daily Return Statistics

Close
Observations 3266.0000
NAs 1.0000
Minimum -0.1113
Quartile 1 -0.0057
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0068
Maximum 0.1511
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0148
Skewness -0.2349
Kurtosis 12.4432

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0106
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6059
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0369
Modified VaR (95%) -0.0214
Modified ES (95%) -0.0299
From Trough To Depth Length To Trough Recovery
2008-05-20 2009-03-09 2021-02-11 -0.6059 3206 202 3004
2021-02-17 2021-03-08 NA -0.0496 24 14 NA
2008-04-08 2008-04-14 2008-04-16 -0.0298 7 5 2
2008-04-29 2008-04-29 2008-05-05 -0.0174 5 1 4
2008-05-07 2008-05-07 2008-05-15 -0.0158 7 1 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA 2.1 -1.1 0.2 -1.2 -1.3 -0.1 -0.6 0.8 -7.3 1.2 -7.2
2009 -1.3 -0.4 2.9 1.1 2.7 1.6 1.2 -2.2 -3.1 -3.5 2.9 -0.4 1.1
2010 2 1.2 1.8 -1.5 -1.2 1 0.1 3.6 1 -0.2 2.8 0.5 11.4
2011 2.4 -1.4 1 0.5 -2.2 1 -0.7 -0.6 -3.4 -3.4 -0.3 0.5 -6.4
2012 1.6 1.1 0.7 0.4 -2.5 3.6 -0.1 0.9 1 1.2 0 1.2 9.3
2013 1 0.1 -1 -0.7 -2 0.7 1.4 -0.6 0.8 -0.5 0.3 0.5 -0.2
2014 -1.2 0.1 0.7 0 -0.3 0.9 -0.4 0 -1.3 1.5 -0.4 -0.5 -0.9
2015 -1.6 0 0.8 0.8 -0.4 0.6 0.6 -3.4 0.3 -0.2 1.1 -0.9 -2.2
2016 -0.3 2.9 -0.8 -0.3 0 0.3 -0.6 0.7 0.7 -0.4 -0.5 0 1.7
2017 0.4 1.3 -0.4 0.4 1.1 0.2 0.5 0.4 0.7 0.3 -0.2 0.1 4.8
2018 0 -1.1 1 -0.3 0.7 0.9 -0.5 -0.5 0.3 1.8 -0.4 0.2 2.1
2019 -0.2 0.5 1.3 -0.6 -0.5 0.7 -0.9 0.5 -0.8 1.1 -0.8 0.4 0.7
2020 -1.6 -0.6 -4.8 -2.5 2.2 0.6 -1.7 0.7 0.8 -0.6 2 -0.5 -6.1
2021 1.7 2.3 0.5 NA NA NA NA NA NA NA NA NA 4.6

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart